Robust Bond Risk Premia

• 成果类型: Article
• 署名作者: Bauer, Michael D.; Hamilton, James D.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California San Diego
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx096
• 发表日期: 2018
• 页码: 399
• 关键词: term structure models; consistent covariance-matrix; STOCK RETURN PREDICTABILITY; time-series; interest-rates; yield curve; confidence-intervals; dividend yields; macro factors; tests

摘要

A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weaker than it originally appeared. Our results pose a serious challenge to the prevailing consensus.